Useful read for both systematic and fundamental investors.
“Ilmanen et al. (2021) examine the out-of-sample performance of the main factors we focus on—value, momentum, carry, and defensive—using a century of data across multiple markets and asset classes.“
“Exhibit 2 highlights the results from their study, which shows that these factors work uniformly across all markets and asset classes and their performance is stable over the periods before and after the original sample period, with little degradation from the original sample period.“
